A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation 38% 17 Stock fund (9) Bond fund (5) 17% 12 The correlation between the fund returns is 0.13. You require that your portfolio yield an expected return of 11%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard deviation % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested % T-bill fund Stocks Bonds % A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 7%. The probability distribution of the risky funds is as follows: Standard Deviation 38% 21 Expected Return 16% 12 Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.12. You require that your portfolio yield an expected return of 11%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard deviation % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) T-bill fund Stocks Bonds Proportion Invested % % % A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long- term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5%. The probability distribution of the risky funds is as follows: Standard Deviation 35% 15 Expected Return 20% 11 Stock fund (9 Bond fund (D) The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard deviation % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested T-bill fund Stocks Bonds % % %
